Here is some useful documentation in WinHelp format. Each of them cover a specific topic on Win32 programming and you sure will need them to understand how some API functions work.

Win32 Programmer's Reference (5,50Mb) Full version including pictures. The main source on APIs
Win32 Multimedia Programmer's Reference (1,21Mb) Highly recommended.
OLE Programmer's Reference (1,94Mb) For those interested in COM programming.
OpenGL Programmer's Reference (0,59Mb) Total control on graphics hardware.
Win32 Programming Techniques (0,15Mb) Win32 Programmer's Reference Supplement.
The Setup API (0,20Mb) How to program setup applications.
Windows Socket 2 API (0,33Mb) Programming involving communications.
Telephony API Programmer's Reference (0,61Mb) How to develop telephonic applications
ASCII Codes Useful to be ready available.
Resource.h Just an header to be included in resource files.
OpCodes Bare Hex OpCodes and mnemonics.